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Real options under a double exponential jump-diffusion model with regime switching and partial information Journal article
Luo, Pengfei, Xiong, Jie, Yang, Jinqiang, Yang, Zhaojun. Real options under a double exponential jump-diffusion model with regime switching and partial information[J]. Quantitative Finance, 2019, 19(6), 1061-1073.
Authors:  Luo, Pengfei;  Xiong, Jie;  Yang, Jinqiang;  Yang, Zhaojun
Favorite | TC[WOS]:11 TC[Scopus]:10  IF:1.5/2.2 | Submit date：2022/05/17
Double Exponential Jump-diffusion Process  Information Value  Partial Information  Real Options  
Fast exponential time integration for pricing options in stochastic volatility jump diffusion models Journal article
Pang,Hong Kui, Sun,Hai Wei. Fast exponential time integration for pricing options in stochastic volatility jump diffusion models[J]. East Asian Journal on Applied Mathematics, 2014, 4(1), 52-68.
Authors:  Pang,Hong Kui;  Sun,Hai Wei
Favorite | TC[WOS]:13 TC[Scopus]:13 | Submit date：2019/05/27
Barrier Option  European Option  Matrix Exponential  Matrix Splitting  Multigrid Method  Partial Integrodifferential Equation  Shift-invert Arnoldi  Stochastic Volatility Jump Diffusion  
Quadratic finite element and preconditioning methods for options pricing in the SVCJ model Journal article
Zhang Y.-Y., Pang H.-K., Feng L., Jin X.-Q.. Quadratic finite element and preconditioning methods for options pricing in the SVCJ model[J]. Journal of Computational Finance, 2014, 17(3), 3-30.
Authors:  Zhang Y.-Y.;  Pang H.-K.;  Feng L.;  Jin X.-Q.
Favorite | TC[WOS]:4 TC[Scopus]:4 | Submit date：2019/02/11
Jump Diffusion-processes  Stochastic Volatility  American Options  Returns  Systems  Assets  
Evaluating the hedging error in price processes with jumps present Journal article
Jing B.Y., Kong X.B., Liu Z., Zhang B.. Evaluating the hedging error in price processes with jumps present[J]. Statistics and its Interface, 2013, 6(4), 413-425.
Authors:  Jing B.Y.;  Kong X.B.;  Liu Z.;  Zhang B.
Favorite | TC[WOS]:0 TC[Scopus]:0 | Submit date：2019/02/14
Hedging Strategy  Jump Diffusion  Quadratic Variation  Realized Bipower Variation  Thresholdvariation  Variation Of Time  Volatility  
Efficient rainbow options pricing methods based on two-dimensional fourier series expansions Conference paper
Deng Ding, Qingjiang Meng, Jiayu Zheng. Efficient rainbow options pricing methods based on two-dimensional fourier series expansions[C]. Kunming Univ Sci & Technol; Yunnan Soc Theoret & Appl Mech, SWITZERLAND:TRANS TECH PUBLICATIONS LTD, LAUBLSRUTISTR 24, CH-8717 STAFA-ZURICH, SWITZERLAND, 2013, 692-697.
Authors:  Deng Ding;  Qingjiang Meng;  Jiayu Zheng
Favorite | TC[WOS]:0 TC[Scopus]:0 | Submit date：2019/02/13
Call-on-maximum Option  Gbm Model  Jump-diffusion Model  Put-on-minimum  Two-dimensional Modified Fourier Expansions  
Evaluating the hedging error in price processes with jumps present Journal article
Jing,Bing Yi, Kong,Xin Bing, Liu,Zhi, Zhang,Bo. Evaluating the hedging error in price processes with jumps present[J]. Statistics and its Interface, 2013, 6(4), 413-425.
Authors:  Jing,Bing Yi;  Kong,Xin Bing;  Liu,Zhi;  Zhang,Bo
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:0.3/0.4 | Submit date：2021/03/11
Hedging Strategy  Jump Diffusion  Quadratic Variation  Realized Bipower Variation  Thresholdvariation  Variation Of Time  Volatility  
Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model Journal article
Lee S.T., Sun H.-W.. Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model[J]. Numerical Methods for Partial Differential Equations, 2012, 28(3), 1079-1098.
Authors:  Lee S.T.;  Sun H.-W.
Favorite | TC[WOS]:20 TC[Scopus]:25 | Submit date：2019/02/13
Fourth-order Compact Scheme  Jump-diffusion  Local Mesh Refinement  Partial Integro-differential Equation  Toeplitz Matrix  
Fourth-Order Compact Scheme with Local Mesh Refinement for Option Pricing in Jump-Diffusion Model Journal article
Spike T. Lee, Hai‐Wei Sun. Fourth-Order Compact Scheme with Local Mesh Refinement for Option Pricing in Jump-Diffusion Model[J]. Numerical Methods for Partial Differential Equations, 2012, 28(3), 1079-1098.
Authors:  Spike T. Lee;  Hai‐Wei Sun
Favorite | TC[WOS]:20 TC[Scopus]:25  IF:2.1/2.8 | Submit date：2019/07/30
Fourth-order Compact Scheme  Jump-diffusion  Local Mesh Refinement  Partial Integro-differentialequation  Toeplitz Matrix  
Modeling high frequency financial data by pure jump processes Journal article
Jing, B.Y., Kong, X.B., Liu, Z.. Modeling high frequency financial data by pure jump processes[J]. Annals of Statistics, 2012, 759-784.
Authors:  Jing, B.Y.;  Kong, X.B.;  Liu, Z.
Favorite | TC[WOS]:49 TC[Scopus]:55  IF:3.2/4.8 | Submit date：2022/07/27
Diffusion  Pure Jump Process  Semi-martingales  High-frequency Data  Hypothesis Testing  
Modeling high-frequency financial data by pure jump processes Journal article
Jing B.-Y., Kong X.-B., Liu Z.. Modeling high-frequency financial data by pure jump processes[J]. Annals of Statistics, 2012, 40(2), 759-784.
Authors:  Jing B.-Y.;  Kong X.-B.;  Liu Z.
Favorite | TC[WOS]:49 TC[Scopus]:55 | Submit date：2019/02/14
Diffusion  High-frequency Data  Hypothesis Testing  Pure Jump Process  Semi-martingales